Cross-Sectional and Time-Series Determinants of Momentum Returns

An Introduction to the Bootstrap

1994 • 39,661 citations

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

An Introduction to the Bootstrap

1993 • 19,341 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 4,396 citations

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

1999 • 3,988 citations

On estimating the expected return on the market

1980 • 2,932 citations

Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

2000 • 2,607 citations

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

2001 • 2,559 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

1998 • 2,417 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 2,176 citations

International Momentum Strategies

1998 • 1,862 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Optimal Investment, Growth Options, and Security Returns

1999 • 1,525 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

2001 • 1,005 citations

An Anatomy of Trading Strategies

1998 • 886 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 629 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 442 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

Evidence of Predictable Behavior of Security Returns

1990 • 378 citations

Market Efficiency in an Irrational World

1999 • 367 citations

Momentum Strategies

1996 • 252 citations

Momentum, Business Cycle and Time Varying Expected Returns

2001 • 192 citations

The Profitability of Momentum Strategies

1999 • 127 citations

The New Finance.

2002 • 31 citations